Persistence in International Inflation Rates
We test for fractional dynamics in inflation rates based on the consumer price index (CPI) for 27 countries and inflation rates based on the wholesale price index (WPI) for 22 countries. The fractional differencing parameter is estimated using semiparametric and approximate maximum likelihood methods. Significant evidence of fractional dynamics with long-memory features is found in both CPI- and WPI-based inflation rates for industrial as well as developing countries. Implications of the findings are considered, and sources of long memory are hypothesized.
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Volume (Year): 65 (1999)
Issue (Month): 4 (April)
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- Canzoneri, Matthew B. & Cumby, Robert E. & Diba, Behzad, 1999.
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"Are Higher Levels of Inflation Less Predictable? A State-Dependent Conditional Heteroscedasticity Approach,"
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- Allan D. Brunner & Gregory D. Hess, 1990. "Are higher levels of inflation less predictable? A state-dependent conditional heteroskedasticity approach," Finance and Economics Discussion Series 141, Board of Governors of the Federal Reserve System (U.S.).
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